Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0918
Annualized Std Dev 0.2128
Annualized Sharpe (Rf=0%) 0.4314

Row

Daily Return Statistics

Close
Observations 4310.0000
NAs 1.0000
Minimum -0.1239
Quartile 1 -0.0047
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0066
Maximum 0.1088
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0134
Skewness -0.4880
Kurtosis 11.4908

Downside Risk

Close
Semi Deviation 0.0099
Gain Deviation 0.0093
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0143
Downside Deviation (Rf=0%) 0.0097
Downside Deviation (0%) 0.0097
Maximum Drawdown 0.6033
Historical VaR (95%) -0.0200
Historical ES (95%) -0.0334
Modified VaR (95%) -0.0203
Modified ES (95%) -0.0393
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2012-09-14 -0.6033 1305 416 889
2020-02-21 2020-03-23 2020-10-12 -0.3967 163 22 141
2018-08-30 2018-12-24 2019-04-30 -0.2199 166 80 86
2015-04-01 2016-02-11 2016-12-07 -0.2170 427 219 208
2006-05-09 2006-07-21 2006-11-14 -0.1158 133 52 81

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 1 0.2 -0.8 -0.2 -0.4 0.2 1.1 1.6 0.2 1.2 0.1 4.3
2005 0.6 0.6 0 0.7 0.7 0.2 0.2 0 0.9 0.3 1.7 -0.3 5.7
2006 0.3 1.1 0 -0.1 1.2 0.2 -0.7 0.5 -0.3 -0.9 -0.4 -0.2 0.6
2007 0.8 -0.2 0 0.3 0.5 0.1 0.4 1.2 1.4 -2.2 0.6 -0.5 2.3
2008 2.9 -2.7 3.7 1.5 0.5 0.3 -0.3 -1 -0.9 2.2 -9.9 2.2 -2
2009 -2.6 -1.3 1.6 0.4 3.5 0.7 0.2 -2.4 -3.4 -3.2 1.5 -1.2 -6.3
2010 1.9 1.7 1.1 -2 -2.5 -0.4 0.3 3.5 0.3 0 2.2 -0.3 5.7
2011 1.6 -2 0.6 0.2 -2.3 1.7 -0.7 -1.5 -2.7 -2.8 -0.1 -0.5 -8.4
2012 1.6 0.9 0.2 0.7 -3.1 2.9 -0.7 0.5 0 1.8 0.2 1.9 6.9
2013 0.8 0.3 -0.9 -1.1 -1.2 0.8 1.8 -0.7 1 0.2 -0.2 0.5 1.2
2014 -0.5 0 1 0.2 0.1 0.7 -0.3 0.4 -1.4 1.3 -1.1 -0.9 -0.4
2015 -1.4 -0.2 -3.3 1.2 0.2 0.4 0.2 -2.8 0.1 0 1 -0.6 -5.2
2016 0.4 2.4 0.4 -0.7 0.2 0.2 -0.5 0.1 0.8 -0.8 -0.8 -0.3 1.4
2017 -0.2 1.2 0 0.1 1.2 0.2 0.2 0.4 0.4 -0.1 -0.2 -0.5 2.7
2018 -0.1 -0.9 1.4 0.1 1 0.1 -0.5 0.1 -0.2 1.6 0.5 1 4.1
2019 0.4 0.7 1.2 -1.1 -0.9 0.7 -1.3 0 -1.4 1.1 -0.6 0.4 -0.8
2020 -1.6 -1.2 -4.8 -3 1.1 0.3 0.2 1.3 0.9 -1.1 0.7 0.2 -7.1
2021 1.8 2.4 0.2 NA NA NA NA NA NA NA NA NA 4.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-01-30  49.4 SPY    113.  0        -0.0083   0.0207   0.0789    0.344   -0.168  -0.0998 <NA>     NA    NA       NA
2 2004-02-02  49.7 SPY    114.  0.0043   -0.0164   0.0242   0.0813    0.324   -0.162  -0.0853 <NA>     NA    NA       NA
3 2004-02-03  49.5 SPY    114. -0.0017   -0.0078   0.0229   0.0805    0.320   -0.163  -0.102  <NA>     NA    NA       NA
4 2004-02-04  49.0 SPY    113. -0.0082   -0.0046   0.0036   0.0647    0.322   -0.174  -0.116  <NA>     NA    NA       NA
5 2004-02-05  49.1 SPY    113.  0.00290  -0.0026   0.0056   0.0702    0.334   -0.179  -0.108  <NA>     NA    NA       NA
6 2004-02-06  49.9 SPY    114.  0.0112    0.0085   0.0135   0.0813    0.355   -0.165  -0.0926 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart